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Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model, CMS-EMS Discussion Paper No. 1427
This paper examines investors' portfolios in a dynamic (Lucas-style) general equilibrium model with heterogeneous agents. The celebrated two-fund separation theorem from static portfolio analysis generalizes, under the classical preference assumptions,
Kenneth L. Judd, Felix Kubler, Karl Schmedders
Judd, Kenneth L., Felix Kubler, and Karl Schmedders. 2007. Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model. CMS-EMS Discussion Paper No. 1427.
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